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fixed income investment(z spread)
study notes book5 page 160
Q10. bond A has an embedded option , a nomial yield spred to treasury of 1.6%, a zerovolatility spread of 1.4%? and an OAS of 1.2%.
what embedded option for Bond A?
why the answer gives PUT? i think if z spread>OAS, the option should be call.
thanks |
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发表于 2013-4-10 18:45
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